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Browsing by Author "Chen, Wenjuan"
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2013-02-28BuchAre There Bubbles in the Sterling-dollar Exchange Rate? New Evidence from Sequential ADF TestsBettendorf, Timo; Chen, WenjuanThere has been mixed evidence regarding the existence of rational bubbles in the foreign exchange markets. This paper introduces recently developed sequential unit root tests into the analysis of exchange rates bubbles. ...
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2012-05-22BuchDo Japanese Stock Prices Reflect Macro Fundamentals? Chen, Wenjuan; Velinov, AntonThis paper investigates to what extent the fundamentals of the real economy are re ected in the stock prices of Japan. A Markov switching VAR model with switching variances is used to test the structural identification ...
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2015-04-13BuchIs There an Asymmetric Impact of Housing on Output? Lee, Tsung-Hsien Michael; Chen, WenjuanNumerous papers have tried to understand housing’s role in the economy and have not reached an agreement. In this paper we turn to the asymmetric relationship between housing and the overall economic activity. We find that ...
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2011-09-30BuchOn the Continuation of the Great Moderation New evidence from G7 CountriesChen, WenjuanThis paper employs a Markov regime-switching approach to investigate whether the Great Moderation is over since the start of the late 2000s recession. The results con rm that the recent nancial crisis did cause a simultaneous ...
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2015-09-04BuchOn the Long-run Neutrality of Demand Shocks Chen, Wenjuan; Netsunajev, AlekseiLong run neutrality restrictions have been widely used to identify structural shocks in VAR models. This paper revisits the seminal paper by Blanchard and Quah (1989), and investigates their identification scheme. We use ...
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2015-05-21BuchThe Information Content of Monetary Statistics for the Great Recession Evidence from GermanyChen, Wenjuan; Nautz, DieterAbstract: This paper introduces a Divisia monetary aggregate for Germany and explores its information content for the Great Recession. Divisia money and the corresponding simple sum aggregate are highly correlated in normal ...